Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Portfolio Analysis Results (Jan 2012 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SSO ProShares Ultra S&P500 65.00%
VIXY ProShares VIX Short-Term Futures 35.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,175 0.19% 12.98%51.91%-21.13%-41.21% 0.030.05-0.06
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 15.46%51.91%20.06%4.30%0.19%15.96%14.15%
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume bands based (6.00% corridor) rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceProShares Ultra S&P500 (SSO)ProShares VIX Short-Term Futures (VIXY)
20121.74%-21.13%$7,88731.04%-77.54%
20131.50%3.75%$8,18370.46%-66.46%
20140.76%7.95%$8,83325.53%-26.43%
20150.73%-6.68%$8,243-1.19%-36.49%
20162.07%-17.49%$6,80121.55%-68.10%
20172.11%-13.55%$5,87944.35%-72.78%
20181.91%15.39%$6,784-14.62%66.78%
20192.29%-1.28%$6,69863.45%-67.81%
20201.36%51.91%$10,17521.53%10.54%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceProShares Ultra S&P500 (SSO)ProShares VIX Short-Term Futures (VIXY)
20121-2.74%$9,7268.97%-24.48%
201222.59%$9,9788.45%-8.29%
20123-5.34%$9,4456.71%-31.81%
20124-1.59%$9,294-1.61%-1.57%
201251.79%$9,460-11.37%26.22%
20126-4.82%$9,0047.27%-27.28%
20127-1.93%$8,8302.53%-10.21%
20128-1.81%$8,6714.61%-15.44%
20129-4.42%$8,2874.87%-21.68%
201210-1.73%$8,144-4.15%2.76%
201211-6.73%$7,5960.94%-20.00%
2012123.83%$7,8872.08%7.66%
20131-0.61%$7,83910.27%-23.16%
201320.90%$7,9092.16%-1.45%
20133-0.39%$7,8787.39%-15.37%
201340.93%$7,9513.86%-6.24%
201353.34%$8,2174.55%1.08%
201360.78%$8,280-3.11%8.25%
20137-3.51%$7,99010.41%-27.45%
201380.61%$8,039-6.08%13.04%
20139-1.56%$7,9136.48%-13.96%
2013101.74%$8,0519.07%-12.27%
2013110.48%$8,0905.77%-12.08%
2013121.15%$8,1835.13%-6.24%
201410.22%$8,200-7.23%15.74%
201421.34%$8,3119.06%-11.54%
20143-0.22%$8,2921.52%-3.80%
20144-0.60%$8,2431.23%-4.59%
20145-1.93%$8,0844.41%-16.52%
20146-2.58%$7,8764.10%-14.97%
201471.26%$7,975-2.88%10.67%
201481.56%$8,1007.87%-11.02%
201491.11%$8,189-2.93%10.89%
2014102.05%$8,3574.38%-2.89%
2014110.88%$8,4315.54%-9.71%
2014124.77%$8,833-0.84%15.20%
201512.74%$9,075-6.15%16.96%
20152-1.39%$8,95011.40%-25.13%
20153-4.84%$8,517-3.43%-7.45%
20154-3.73%$8,1991.84%-14.52%
20155-2.32%$8,0092.31%-13.00%
20156-0.53%$7,967-4.09%6.09%
20157-5.01%$7,5684.22%-20.49%
2015812.56%$8,519-12.48%67.67%
20159-5.18%$8,077-5.54%-4.53%
2015101.91%$8,23117.45%-26.64%
2015110.28%$8,2540.60%-0.32%
201512-0.14%$8,243-3.80%6.73%
201610.91%$8,317-10.37%19.95%
201620.63%$8,370-0.62%2.94%
20163-1.42%$8,25013.98%-29.04%
20164-1.35%$8,1390.60%-4.97%
20165-4.33%$7,7863.18%-19.10%
201660.81%$7,8490.16%2.00%
20167-4.50%$7,4967.40%-26.20%
20168-3.77%$7,2130.10%-10.95%
20169-2.09%$7,062-0.28%-5.88%
201610-2.43%$6,890-3.68%0.32%
201611-0.92%$6,8277.23%-18.23%
201612-0.38%$6,8014.00%-8.52%
20171-5.33%$6,4393.47%-23.89%
201723.32%$6,6527.83%-5.07%
20173-4.60%$6,346-0.02%-14.26%
20174-0.55%$6,3111.85%-5.01%
20175-1.70%$6,2042.55%-10.15%
20176-0.94%$6,1461.04%-5.43%
20177-0.80%$6,0973.95%-12.32%
201781.31%$6,1770.31%3.17%
20179-3.04%$5,9893.82%-15.42%
201710-1.06%$5,9264.53%-13.43%
2017111.79%$6,0325.87%-5.79%
201712-2.53%$5,8792.36%-12.74%
201819.75%$6,45311.17%7.13%
2018211.06%$7,167-8.07%47.94%
20183-1.26%$7,077-5.54%6.70%
20184-4.53%$6,7560.20%-12.31%
20185-0.94%$6,6924.41%-10.98%
201860.66%$6,7371.02%-0.13%
201870.18%$6,7497.09%-15.20%
201881.37%$6,8426.15%-7.50%
20189-2.06%$6,7010.89%-8.35%
2018102.45%$6,865-14.01%41.07%
201811-0.87%$6,8053.15%-8.34%
201812-0.30%$6,784-17.72%36.09%
201911.65%$6,89615.73%-24.50%
201920.04%$6,8996.21%-11.42%
201930.22%$6,9143.45%-6.97%
201940.79%$6,9687.72%-12.07%
20195-3.16%$6,748-12.77%18.70%
201963.34%$6,97314.09%-14.64%
20197-1.15%$6,8932.52%-9.35%
201982.28%$7,050-4.04%14.02%
20199-2.38%$6,8833.62%-11.75%
201910-3.30%$6,6554.00%-16.70%
201911-0.14%$6,6467.07%-16.67%
2019120.78%$6,6985.65%-8.27%
202012.11%$6,839-0.44%7.56%
202023.46%$7,075-15.46%40.91%
2020316.09%$8,214-29.80%101.33%
2020410.04%$9,03925.18%-18.09%
202051.70%$9,1939.16%-12.13%
202062.57%$9,4292.95%1.68%
202073.52%$9,76111.69%-15.56%
202087.09%$10,45314.29%-6.27%
20209-7.70%$9,648-7.97%-7.10%
202010-1.72%$9,482-5.38%6.47%
2020113.22%$9,78722.51%-35.25%
2020123.96%$10,1757.36%-2.35%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity65.00%0.20%0.89%$13,219-9.83%
VIXYProShares VIX Short-Term FuturesMiscellaneous35.00%0.87%-$13,044109.83%
100.00%0.13%0.88%$175100.00%

Asset Allocation

Fund fundamentals data as of 10/21/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.08%
Arithmetic Mean (annualized)1.01%
Geometric Mean (monthly)0.02%
Geometric Mean (annualized)0.19%
Volatility (monthly)3.75%
Volatility (annualized)12.98%
Downside Deviation (monthly)2.19%
Max. Drawdown-41.21%
US Market Correlation-0.06
Beta(*)-0.06
Alpha (annualized)1.90%
R20.40%
Sharpe Ratio0.03
Sortino Ratio0.05
Treynor Ratio (%)-5.99
Calmar Ratio2.16
Active Return-14.97%
Tracking Error19.54%
Information Ratio-0.77
Skewness1.38
Excess Kurtosis3.99
Historical Value-at-Risk (5%)-4.95%
Analytical Value-at-Risk (5%)-6.36%
Conditional Value-at-Risk (5%)-5.88%
Upside Capture Ratio (%)-10.70
Downside Capture Ratio (%)-31.13
Safe Withdrawal Rate7.75%
Perpetual Withdrawal Rate0.00%
Positive Periods52 out of 108 (48.15%)
Gain/Loss Ratio1.15
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1
COVID-19 StartJan 2020Mar 20200.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2012Dec 20176 yearsAug 20202 years 8 months8 years 8 months-41.21%
2Sep 2020Oct 20202 months-9.29%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SSOProShares Ultra S&P50026.41%27.29%70.46%-14.62%-40.91%0.981.551.00
VIXYProShares VIX Short-Term Futures-50.41%67.86%66.78%-77.54%-99.84%-0.73-1.10-0.81

Monthly Correlations

Correlations for the portfolio assets
TickerNameSSOVIXYPortfolio 1
SSOProShares Ultra S&P5001.00-0.82-0.07
VIXYProShares VIX Short-Term Futures-0.821.000.62

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
SSOProShares Ultra S&P500$13,219
VIXYProShares VIX Short-Term Futures-$13,044

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
SSOProShares Ultra S&P500-9.83%
VIXYProShares VIX Short-Term Futures109.83%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year1.23%51.91%-23.08%
3 years-1.55%20.06%-12.69%
5 years-3.09%5.22%-8.09%
7 years-1.11%3.82%-5.39%

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
101/31/2012ProShares Ultra S&P500 (SSO): 72.82%
ProShares VIX Short-Term Futures (VIXY): 27.18%
203/31/2012ProShares Ultra S&P500 (SSO): 77.46%
ProShares VIX Short-Term Futures (VIXY): 22.54%
305/31/2012ProShares Ultra S&P500 (SSO): 56.59%
ProShares VIX Short-Term Futures (VIXY): 43.41%
406/30/2012ProShares Ultra S&P500 (SSO): 73.26%
ProShares VIX Short-Term Futures (VIXY): 26.74%
508/31/2012ProShares Ultra S&P500 (SSO): 72.40%
ProShares VIX Short-Term Futures (VIXY): 27.60%
609/30/2012ProShares Ultra S&P500 (SSO): 71.32%
ProShares VIX Short-Term Futures (VIXY): 28.68%
701/31/2013ProShares Ultra S&P500 (SSO): 74.84%
ProShares VIX Short-Term Futures (VIXY): 25.16%
804/30/2013ProShares Ultra S&P500 (SSO): 73.02%
ProShares VIX Short-Term Futures (VIXY): 26.98%
907/31/2013ProShares Ultra S&P500 (SSO): 72.35%
ProShares VIX Short-Term Futures (VIXY): 27.65%
1011/30/2013ProShares Ultra S&P500 (SSO): 74.07%
ProShares VIX Short-Term Futures (VIXY): 25.93%
1105/31/2014ProShares Ultra S&P500 (SSO): 74.24%
ProShares VIX Short-Term Futures (VIXY): 25.76%
1211/30/2014ProShares Ultra S&P500 (SSO): 72.68%
ProShares VIX Short-Term Futures (VIXY): 27.32%
1301/31/2015ProShares Ultra S&P500 (SSO): 56.19%
ProShares VIX Short-Term Futures (VIXY): 43.81%
1402/28/2015ProShares Ultra S&P500 (SSO): 73.43%
ProShares VIX Short-Term Futures (VIXY): 26.57%
1505/31/2015ProShares Ultra S&P500 (SSO): 73.08%
ProShares VIX Short-Term Futures (VIXY): 26.92%
1608/31/2015ProShares Ultra S&P500 (SSO): 53.46%
ProShares VIX Short-Term Futures (VIXY): 46.54%
1710/31/2015ProShares Ultra S&P500 (SSO): 74.63%
ProShares VIX Short-Term Futures (VIXY): 25.37%
1801/31/2016ProShares Ultra S&P500 (SSO): 55.80%
ProShares VIX Short-Term Futures (VIXY): 44.20%
1903/31/2016ProShares Ultra S&P500 (SSO): 74.23%
ProShares VIX Short-Term Futures (VIXY): 25.77%
2005/31/2016ProShares Ultra S&P500 (SSO): 71.49%
ProShares VIX Short-Term Futures (VIXY): 28.51%
2107/31/2016ProShares Ultra S&P500 (SSO): 72.63%
ProShares VIX Short-Term Futures (VIXY): 27.37%
2211/30/2016ProShares Ultra S&P500 (SSO): 73.58%
ProShares VIX Short-Term Futures (VIXY): 26.42%
2301/31/2017ProShares Ultra S&P500 (SSO): 74.16%
ProShares VIX Short-Term Futures (VIXY): 25.84%
2403/31/2017ProShares Ultra S&P500 (SSO): 71.10%
ProShares VIX Short-Term Futures (VIXY): 28.90%
2507/31/2017ProShares Ultra S&P500 (SSO): 74.22%
ProShares VIX Short-Term Futures (VIXY): 25.78%
2610/31/2017ProShares Ultra S&P500 (SSO): 72.80%
ProShares VIX Short-Term Futures (VIXY): 27.20%
2712/31/2017ProShares Ultra S&P500 (SSO): 71.00%
ProShares VIX Short-Term Futures (VIXY): 29.00%
2802/28/2018ProShares Ultra S&P500 (SSO): 54.49%
ProShares VIX Short-Term Futures (VIXY): 45.51%
2907/31/2018ProShares Ultra S&P500 (SSO): 73.78%
ProShares VIX Short-Term Futures (VIXY): 26.22%
3010/31/2018ProShares Ultra S&P500 (SSO): 58.85%
ProShares VIX Short-Term Futures (VIXY): 41.15%
3112/31/2018ProShares Ultra S&P500 (SSO): 55.82%
ProShares VIX Short-Term Futures (VIXY): 44.18%
3201/31/2019ProShares Ultra S&P500 (SSO): 74.00%
ProShares VIX Short-Term Futures (VIXY): 26.00%
3303/31/2019ProShares Ultra S&P500 (SSO): 71.23%
ProShares VIX Short-Term Futures (VIXY): 28.77%
3407/31/2019ProShares Ultra S&P500 (SSO): 71.65%
ProShares VIX Short-Term Futures (VIXY): 28.35%
3511/30/2019ProShares Ultra S&P500 (SSO): 74.65%
ProShares VIX Short-Term Futures (VIXY): 25.35%
3602/29/2020ProShares Ultra S&P500 (SSO): 54.29%
ProShares VIX Short-Term Futures (VIXY): 45.71%
3703/31/2020ProShares Ultra S&P500 (SSO): 39.30%
ProShares VIX Short-Term Futures (VIXY): 60.70%
3804/30/2020ProShares Ultra S&P500 (SSO): 73.95%
ProShares VIX Short-Term Futures (VIXY): 26.05%
3907/31/2020ProShares Ultra S&P500 (SSO): 75.55%
ProShares VIX Short-Term Futures (VIXY): 24.45%
4011/30/2020ProShares Ultra S&P500 (SSO): 79.05%
ProShares VIX Short-Term Futures (VIXY): 20.95%